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Davos is Stannis Baratheon's right-hand man, and Cunningham firmly believes it's the character's decency that has kept Robert Baratheon's rightful heir to the throne alive this long.

"For a man who's come from the lowest of the low - from Flea Bottom in King's Landing - to have more nobility and honour than the people who have been born into great wealth and power is a bit like holding a mirror up to society really," Cunningham says.

"He's just born with a horror of injustice, and I really like that about him.

"We all, including me, sort of want to be like him."

But Cunningham knows when it comes to a death-crazy author like Martin, that doesn't necessarily count for much.

Because Ned Stark had honour too.

"And where is he now? Gulp. This is what worries me."

Cunningham certainly isn't banking on Davos' survival, especially given there are only enough decent characters left to "count on the fingers of one mitten".

"The moral compass on the show moves around, and there's a bit of ambiguity on it," Cunningham says.

"I think you do need that balance with the characters who are trying to do the right thing.

"But when the gods of drama decide to put a bullet in me, I have to live with that."

Cunningham first got into acting in the early 1990s and is known for his strong supporting roles, such as an IRA fighter in The Wind That Shakes The Barley (2006) and a priest alongside Michael Fassbender in Hunger (2008).

He says a gig on Game of Thrones is an actor's dream.

But for the record, if he wasn't the Onion Knight he'd probably be "a very large courgette".

For the novelty factor, not the taste.

"But I love an onion. Where would you be without an onion?"

And as long as Davos is in the mix, Cunningham is hoping for more scenes highlighting the complex relationship between Davos, Stannis and Melisandre.

"That whole triangle with the red priestess, it's a really good storyline," he says.

"It's the angel and the devil on Stannis' shoulder. She has her way of doing things, and I've got the right way of doing things."

Cunningham says the exhibition, which includes a 4D top-of-the-wall interactive experience, is a must for Thrones fans.

"They're not cheap knock-offs. This is the real stuff," says Cunningham, whose only complaint is that his costume isn't there because it's been shipped to Belfast so it's ready for filming.

"I'm completely taken with Margaery Tyrell's dress.

"I don't care what size television you have at home, you will not see the level of detail that's on the costumes and the props."

Cunningham gets excited, pointing at the exhibition's video footage.

"That's me getting blown off, look. I mean that as in 'blown off the ship'."

*Game of Thrones: The Exhibition is on at the Museum of Contemporary Art, Sydney, July 1-5, 10am-8pm